Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0213
Annualized Std Dev 0.0569
Annualized Sharpe (Rf=0%) 0.3745

Row

Daily Return Statistics

Close
Observations 2874.0000
NAs 1.0000
Minimum -0.0313
Quartile 1 -0.0019
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0021
Maximum 0.0445
SE Mean 0.0001
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0036
Skewness 0.1823
Kurtosis 13.0921

Downside Risk

Close
Semi Deviation 0.0026
Gain Deviation 0.0024
Loss Deviation 0.0025
Downside Deviation (MAR=210%) 0.0090
Downside Deviation (Rf=0%) 0.0025
Downside Deviation (0%) 0.0025
Maximum Drawdown 0.1228
Historical VaR (95%) -0.0055
Historical ES (95%) -0.0079
Modified VaR (95%) -0.0047
Modified ES (95%) -0.0047
From Trough To Depth Length To Trough Recovery
2012-12-11 2013-09-05 2020-03-03 -0.1228 1801 185 1616
2020-03-09 2020-03-18 2020-06-22 -0.1049 74 8 66
2010-10-26 2011-02-08 2011-07-19 -0.0686 184 73 111
2011-08-11 2011-10-12 2011-11-07 -0.0373 62 44 18
2021-01-29 2021-02-25 NA -0.0336 36 19 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA 0.4 0.3 0 -0.4 0.4
2010 0.1 -0.3 0 0.3 -0.1 -0.4 0.4 -0.6 0.1 -0.1 -0.7 0.5 -0.8
2011 0 0.3 0.5 -0.3 0.5 0.1 0.5 1 -0.5 1.5 -0.3 -0.1 3.4
2012 -0.3 -0.5 -0.4 -0.1 0.7 -0.8 0.2 0.4 0.1 0.1 0 -0.6 -1.1
2013 -0.4 0.3 0.2 -0.1 -0.1 0.4 -0.7 -0.6 -0.1 -0.7 -0.1 -0.2 -2.1
2014 0.2 0.1 -0.2 0.6 -0.5 -0.3 0.3 -0.3 0.9 0.1 0 0.6 1.5
2015 0.7 0.7 0.8 -0.5 -0.6 -0.7 0.1 -0.3 0.6 0.3 0.4 -0.1 1.3
2016 0.4 -0.4 0.2 0.1 -0.1 0.8 -0.8 -0.3 -0.2 -0.1 -0.5 0.3 -0.6
2017 -0.1 -0.6 0.3 -0.7 0 0 0.1 -0.1 -0.1 -0.1 -0.1 0.3 -1.2
2018 -0.5 0.3 0.2 0.1 -0.6 0.2 -0.6 0 -0.1 -0.3 0.2 0.2 -0.9
2019 -0.3 -0.3 -0.4 -0.2 0.7 -0.6 0.2 -0.4 -0.2 0.1 -0.3 0.1 -1.6
2020 0.4 0.3 0.2 -0.6 0 0 0.3 -0.2 -0.3 -0.2 -0.3 0.4 0.1
2021 -0.1 -0.2 0.2 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-09-09  50.2 SPY    104.  0.0077   0.0352   0.0271   0.0988   -0.158   -0.202  -0.0786 GLD    97.1 -0.0036    0.0339
2 2009-09-11  50.6 SPY    105. -0.0002   0.0409   0.0394   0.102    -0.165   -0.197  -0.0733 GLD    98.8  0.0111    0.0135
3 2009-09-14  50.4 SPY    105.  0.0049   0.0316   0.0365   0.133    -0.165   -0.200  -0.0719 GLD    98.0 -0.0083    0.0044
4 2009-09-15  50.4 SPY    106.  0.0042   0.027    0.0489   0.154    -0.120   -0.200  -0.0699 GLD    98.9  0.00960   0.0151
5 2009-09-16  50.5 SPY    107.  0.0151   0.0346   0.0916   0.172    -0.121   -0.188  -0.0486 GLD    99.9  0.0102    0.0292
6 2009-09-17  50.5 SPY    107. -0.0015   0.0226   0.0814   0.162    -0.081   -0.188  -0.0529 GLD    99.3 -0.0057    0.0168
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart